Search
Now showing items 51-60 of 69
A European option general first-order error formula
(Cambridge, 2013)
We study the value of European security derivatives in the Black-Scholes model, when the underlying asset 𝛏 is approximated by random walks 𝛏(𝑛). We obtain an explicit error formula, up to a term of order 𝒪(𝑛⁻³/² ), ...
The effect of maps permutation on the global attractor of a periodic Beverton-Holt model
(Elsevier, 2020-04-01)
Consider a p-periodic difference equation xn+1 = fn(xn) with a global attractor. How does a permutation [fσ(p−1), . . . , fσ(1), fσ(0)] of the maps affect the global attractor? In this paper, we limit this general question ...
Using Fractional Bernoulli Wavelets for Solving Fractional Diffusion Wave Equations with Initial and Boundary Conditions
(MDPI, 2021)
In this paper, fractional-order Bernoulli wavelets based on the Bernoulli polynomials are constructed and applied to evaluate the numerical solution of the general form of Caputo fractional order diffusion wave equations. ...
Analytical study and parameter-sensitivity analysis of catalytic current at a rotating disk electrode
(IOP Publishing, 2020)
A convective-diffusion equation with semi-infinite boundary conditions for rotating disk electrodes under the hydrodynamic conditions is discussed and analytically solved for electrochemical catalytic reactions. The ...
Strong ring extensions andphi-pseudo-valuation rings
(University of Houston, 2006)
In this paper, we extend the concept of strong extensions of domains to the context of (commutative) rings with zero-divisors. We show that the theory of strong extensions of rings resembles that of strong extensions of domains.
Convergence rate of the binomial tree scheme for continuously paying options
(Université du Québec à Montréal, 2012)
Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the ...
Convergence rate of regime-switching trees
(Elseveir, 2016)
Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order 𝒪 (𝑛-ᵝ), ...
On phi-Mori rings
(University of Houston, 2006)
A commutative ring R is said to be a phi-ring if its nilradical Nil(R) is both prime and comparable with each principal ideal. The name is derived from the natural map phi from the total quotient ring T(R) to R localized ...
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
(Springer, 2015)
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ...
Mechanical perturbation control of cardiac alternans
(American Physical Society, 2018)
Cardiac alternans is a disturbance in heart rhythm that is linked to the onset of lethal cardiac arrhythmias. Mechanical perturbation control has been recently used to suppress alternans in cardiac tissue of relevant size. ...